I assume that, during the nightmare, you do believe it's real. Again, I can't speak with any certainty, because I don't really remember any dream from after I was six, but I assume that the fear you felt was lingering from while you were dreaming, at which point you did believe it was real. Even though you now know that it wasn't, the fear lingers on from when you didn't.

Likewise, my argument was that the reason the girls are sobbing in their rooms together after the test indicates that they did believe it was real during the test.

The opposite situation would be, for example, a haunted house. I've only ever seen one person afraid in a haunted house - and that was because there were spiderwebs and she was arachnophobic. You hear a lot of people scream, and see them jump, but that's not fear, that's surprise. You're already on edge because you know people are going to jump at you in tiny hallways where you can't clearly see what's going on, so when they do, you're already primed to react, and you do react. That's what they call a 'jump-scare', but it's not fear. People aren't afraid because they know it's fake. Only the surprise is real.